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RePEc
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1
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options
Rombouts, Jeroen V.K.
;
Stentoft, Lars
;
Violante, Francesco
-
School of Economics and Management, University of Aarhus
-
2012
We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...
Persistent link: https://www.econbiz.de/10009492823
Saved in:
2
The Model Confidence Set
Hansen, Peter R.
;
Lunde, Asger
;
Nason, James M.
-
School of Economics and Management, University of Aarhus
-
2010
forecasting
problem posed by Stock and Watson (1999), and compute the MCS for their set of inflation forecasts. Second, we compare …
Persistent link: https://www.econbiz.de/10008784441
Saved in:
3
Diffusion Indexes with Sparse Loadings
Kristensen, Johannes Tang
-
School of Economics and Management, University of Aarhus
-
2013
The use of large-dimensional factor models in
forecasting
has received much attention in the literature with the … model which is better suited for
forecasting
compared to the traditional principal components (PC) approach.We provide an … asymptotic analysis of the estimator and illustrate its merits empirically in a
forecasting
experiment based on US macroeconomic …
Persistent link: https://www.econbiz.de/10010851192
Saved in:
4
Housing price forecastability: A factor analysis
Bork, Lasse
;
Møller, Stig V.
-
School of Economics and Management, University of Aarhus
-
2012
-sample
forecasting
regressions. The predictive power of the model stays high at longer horizons. The estimated factors are strongly …
Persistent link: https://www.econbiz.de/10010851257
Saved in:
5
Oracle Efficient Estimation and
Forecasting
with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions
Kock, Anders Bredahl
;
Callot, Laurent A.F.
-
School of Economics and Management, University of Aarhus
-
2012
variable selection and estimation in one step. We evaluate the
forecasting
accuracy of these estimators for a large set of …
Persistent link: https://www.econbiz.de/10010851261
Saved in:
6
Factor-Based
Forecasting
in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?
Kristensen, Johannes Tang
-
School of Economics and Management, University of Aarhus
-
2012
Macroeconomic
forecasting
using factor models estimated by principal components has become a popular research topic … simply screen datasets prior to estimation and remove anomalous observations.We investigate whether
forecasting
performance … Carlo simulation studies. Finally, we apply our proposed estimator in a simulated real-time
forecasting
exercise to test its …
Persistent link: https://www.econbiz.de/10010851270
Saved in:
7
Forecasting
Medium and Large Datasets with Vector Autoregressive Moving Average (VARMA) Models
Dias, Gustavo Fruet
;
Kapetanios, George
-
School of Economics and Management, University of Aarhus
-
2014
We address the issue of modelling and
forecasting
macroeconomic variables using medium and large datasets, by adopting …
Persistent link: https://www.econbiz.de/10010940885
Saved in:
8
Modeling and
Forecasting
the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
Lunde, Asger
;
Olesen, Kasper V.
-
School of Economics and Management, University of Aarhus
-
2014
,
forecasting
of the full density for long horizons is feasible, which we pursue. We document variability in conditional variances … over time, which stresses the importance of careful modeling and
forecasting
of volatility. We show that improved model fit …
Persistent link: https://www.econbiz.de/10010945126
Saved in:
9
A Comprehensive Look at Financial Volatility Prediction by Economic Variables
Christiansen, Charlotte
;
Schmeling, Maik
;
Schrimpf, Andreas
-
School of Economics and Management, University of Aarhus
-
2010
market volatility by macroeconomic and financial variables. We go beyond
forecasting
stock market volatility (by large the …
Persistent link: https://www.econbiz.de/10008534434
Saved in:
10
Forecasting
with Universal Approximators and a Learning Algorithm
Kock, Anders Bredahl
-
School of Economics and Management, University of Aarhus
-
2009
This paper applies three universal approximators for
forecasting
. They are the Artificial Neural Networks, the …
Persistent link: https://www.econbiz.de/10005012487
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